Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0056 |
| Annualized Std Dev | 0.1086 |
| Annualized Sharpe (Rf=0%) | 0.0514 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0714 |
| Quartile 1 | -0.0030 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0032 |
| Maximum | 0.0877 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0068 |
| Skewness | -0.0141 |
| Kurtosis | 17.9562 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0049 |
| Gain Deviation | 0.0050 |
| Loss Deviation | 0.0055 |
| Downside Deviation (MAR=210%) | 0.0105 |
| Downside Deviation (Rf=0%) | 0.0049 |
| Downside Deviation (0%) | 0.0049 |
| Maximum Drawdown | 0.2476 |
| Historical VaR (95%) | -0.0095 |
| Historical ES (95%) | -0.0161 |
| Modified VaR (95%) | -0.0088 |
| Modified ES (95%) | -0.0088 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-04 | 2008-12-12 | 2012-07-10 | -0.2476 | 1410 | 511 | 899 |
| 2020-02-26 | 2020-03-23 | 2020-11-27 | -0.2325 | 193 | 19 | 174 |
| 1999-02-09 | 2000-01-14 | 2005-09-06 | -0.2201 | 1654 | 237 | 1417 |
| 2012-07-25 | 2013-12-12 | 2016-06-13 | -0.1834 | 977 | 349 | 628 |
| 2016-07-08 | 2018-10-15 | 2020-01-29 | -0.1602 | 896 | 573 | 323 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | -0.6 | -0.6 | 0.6 | 0 | -0.7 | 0.7 | 0 | -0.7 | -0.7 | 0 | 0 | -2.1 |
| 2000 | 0.8 | 0 | 0.7 | 0 | 0.8 | -0.7 | 0 | 0 | -0.7 | 1.5 | 1.5 | 0 | 3.8 |
| 2001 | 1.3 | 0 | 0.4 | 0.3 | 0.1 | -0.1 | -0.4 | -0.5 | 0.2 | 0.2 | -0.2 | 0.5 | 1.9 |
| 2002 | 0.1 | -0.3 | 0.4 | 0.5 | -0.5 | -0.2 | -0.1 | 0 | 0.2 | -0.8 | 0.6 | 0.9 | 0.8 |
| 2003 | 0.5 | -0.2 | -0.4 | 0.4 | 0.2 | 1.1 | 0.4 | 0.2 | 0.3 | 0 | -0.5 | 0.4 | 2.5 |
| 2004 | 0.1 | 0.5 | 0.3 | 0.3 | 0.3 | 1 | 0.6 | 0.1 | -0.1 | -0.3 | 0.8 | 0.8 | 4.5 |
| 2005 | 0 | 0.1 | 0.3 | 0.5 | 0.5 | -0.3 | 0 | 0.1 | 1.6 | -0.1 | 0.5 | 0.2 | 3.5 |
| 2006 | -0.3 | 0 | 0.1 | 0.9 | 0.5 | 0.6 | 0.6 | 0.5 | 0.3 | 0.2 | 0.8 | 0.3 | 4.7 |
| 2007 | -0.2 | 0.4 | -0.2 | 0.6 | 0.2 | 0.9 | 0.5 | 0.3 | -0.2 | 0.2 | 0.2 | 0.8 | 3.6 |
| 2008 | 0.5 | -0.7 | 0.5 | 0.6 | -0.5 | -0.6 | -0.4 | -0.5 | -1.3 | 0.2 | 0.4 | 0.8 | -1 |
| 2009 | 1.6 | 0.8 | 0.4 | 0.9 | -0.4 | 0.4 | -0.2 | 0.6 | -0.6 | 0.6 | 0.1 | 0.1 | 4.4 |
| 2010 | 0.1 | 1.1 | 0.3 | 0.8 | -0.1 | 0.1 | 0.6 | -0.1 | -0.1 | 0.3 | -0.6 | 0.9 | 3.4 |
| 2011 | 0.2 | 0.1 | 0.1 | 0.3 | 0.8 | 0.3 | 0.2 | 0.1 | 0.1 | -0.1 | -0.1 | 0.1 | 2.2 |
| 2012 | -0.1 | -0.5 | 0.1 | 0.1 | -0.1 | 0.3 | 0.3 | 0.2 | 0.4 | 0.4 | 0.3 | 0.5 | 1.9 |
| 2013 | -0.1 | -0.2 | -0.2 | 0.5 | -0.4 | 1.4 | -0.9 | 0.1 | 0.2 | 0.4 | 0 | 0.3 | 1.1 |
| 2014 | 0.2 | -0.1 | -0.1 | 0.5 | 0.1 | -0.4 | 0 | 0.1 | 0.3 | 0.1 | 0.1 | 0.5 | 1.4 |
| 2015 | 0.6 | 0.3 | 0.5 | -0.3 | 0.2 | -0.1 | 0.5 | -0.1 | 0 | 0.5 | 0 | -0.5 | 1.6 |
| 2016 | -0.1 | -0.1 | -0.4 | 0.6 | 0.5 | -0.1 | 0.3 | 0.6 | -0.1 | 0.4 | -0.8 | -0.6 | 0.1 |
| 2017 | 0.2 | -0.4 | 0.7 | 0.1 | 0.1 | 0.4 | 0.1 | -0.9 | 0.2 | 0.4 | 0.1 | -0.3 | 0.8 |
| 2018 | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0 | 0.1 | -0.2 | -0.2 | 0.2 | 0.3 | 0.1 | 1.1 |
| 2019 | -0.4 | -0.3 | -0.6 | -0.3 | -0.1 | -0.1 | -0.3 | -0.5 | -0.2 | 0.2 | -0.3 | 1 | -1.8 |
| 2020 | 0 | -2.9 | -2.7 | -0.1 | 1.1 | 0.7 | 0.2 | 0.1 | 0.1 | 0.2 | 0.4 | 0.6 | -2.3 |
| 2021 | 0.6 | 0.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
